API reference

Contents:

• Data
  • DataLoader
    • DataLoader
  • PriceTimeSeries
    • PriceTimeSeries
• Spread
  • SpreadSeries
    • SpreadSeries
  • HedgeRatioEstimator
    • HedgeRatioEstimator
  • ConstantOLS
    • ConstantOLS
  • RollingOLS
    • RollingOLS
  • KalmanFilter
    • KalmanFilterParams
    • KalmanFilter
  • KalmanFilterWithVelocity
    • KalmanFilterWithVelocityParams
    • KalmanFilterWithVelocity
• Signal
  • Direction
    • Direction
  • Signal
    • Signal
  • SignalGenerator
    • SignalGenerator
  • ZScoreSignal
    • ZScoreSignal
  • RollingADFFilter
    • RollingADFFilter
• Sizing
  • PositionSizer
    • PositionSizer
  • LinearSizer
    • LinearSizer
  • InverseVolSizer
    • InverseVolSizer
  • Kelly sizers
    • KellyTruncatedEntry
    • KellyTruncatedExit
    • KellyTruncatedBoth
• Backtest
  • TransactionCosts
    • TransactionCosts
  • Trade
    • Trade
  • Portfolio
    • Portfolio
  • RiskMetrics
    • RiskMetrics
  • BacktestResult
    • BacktestResult
  • BacktestEngine
    • BacktestEngine
• Research
  • PairFinder
    • PairFinder